On 27 April 1882, Leopold and Helena married in St. George's Chapel, Windsor Castle.[2] After their wedding, Leopold and Helena resided at Claremont House. The couple had a brief, but happy marriage, ending in the hemophiliac Leopold's death from a fall in Cannes, France, in March 1884. At the time of Leopold's death, Helena was pregnant with their second child.

According to the memoirs of Helena's daughter, Princess Alice of Albany, Helena was very intelligent, had a strong sense of duty, and a genuine love of welfare work. The Queen, initially worried that Helena might turn out to be a stereotypically-remote German Princess, remarked in a letter to her eldest daughter The Princess Royal and German Crown Princess that she was pleased Helena liked 'to go among the people.' The Queen soon came to regard her young daughter-in-law with great respect and affection, notwithstanding her initial concerns upon hearing from the match-making Vicky that Helena was an "intellectual", being unusually well-educated for a Princess. Before her marriage, Helena's father had made her Superintendent of the infant schools in his principality, and in this position the Princess had devised the pupils' educational curriculum. Helena particularly enjoyed solving mathematical problems and reading philosophy: during their tragically brief marriage, Prince Leopold proudly introduced his wife to the circle of academics he'd befriended at Oxford University. Helena maintained these friendships for the rest of her life.

In 1894, Helena was one of the founders of the Deptford Fund.[3] Originally dedicated to helping find alternative work for women and girls employed in the dangerous cattle slaughter business, the Fund soon expanded, with many projects instigated to help the local community. In 1899 Helena opened the Albany Institute.[4] This later expanded into a combined community/performance centre with the theatre venue known as the Albany Empire. A centre of 1970s anti-fascist activity and Rock Against Racism, the Empire and Institute buildings were destroyed in an arson attack in 1978. A new Albany Theatre was opened by the Princess of Wales in 1982 and the Deptford Fund continues to this day.

Helena was also involved in several hospital charities and with those dedicated to ending human trafficking. During World War I, she organised much of her charity work along with that of The Princess Beatrice and Princess Marie-Louise to avoid the not-uncommon problem of conflicting (and sometimes misguided) Royal war-work projects.[5]

After Leopold's death, Helena and her two children, Alice and Charles Edward, continued to reside at Claremont House. After the death of The Hereditary Prince of Saxe-Coburg and Gotha in 1899, Helena's sixteen-year-old son, The Duke of Albany, was selected as the new heir to the German Duchy, and was parted from his mother and sister in order to take up residence there. When the First World War broke out 14 years later, Charles Edward found himself fighting in the German Army. As a result, he was stripped of his British titles by an act of Parliament in 1917. By contrast, her daughter Alice remained in England and made a marriage that made her the sister-in-law of George V's consort, Queen Mary.